Yeah, that was a clever story. They could have gone to spend a vacation in Arkham because Chicago had become too hot for them after their recent adventures there, which would also account for Sigrun being there as well, since she is already on a 'most wanted' list. Perhaps Mikkel has decided to take a break from his speakeasy for similar reasons, and has gone along with Sigrun in a probably doomed attempt to keep her out of yet more trouble. Reynir....maybe a local kid who in his naïvete and heroworship has run away from home to attach himself to these daring criminals from the big city? Which would give the advantage that he would know the ground.
Maybe you should float this idea to SectoBoss and see whether he has any interest in writing the background story?
*Edit: maybe you could interest Shoop in adding her excellent art to the project? She illustrated SectoBoss's original tale.
